The xVA Challenge: Counterparty Risk, Funding,

The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4 by Jon Gregory

• The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4
• Jon Gregory
• Page: 704
• Format: pdf, ePub, mobi, fb2
• ISBN: 9781119508977
• Publisher: Wiley

The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4

Audio textbooks free download The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin / Edition 4 RTF PDF (English literature) by Jon Gregory

A thoroughly updated and expanded edition of the xVA challenge The period since the global financial crisis has seen a major re-appraisal of derivatives valuation, generally expressed in the form of valuation adjustments (‘xVAs’). The quantification of xVA is now seen as fundamental to derivatives pricing and valuation. The xVA topic has been complicated and further broadened by accounting standards and regulation. All users of derivatives need to have a good understanding of the implications of xVA. The pricing and valuation of the different xVA terms has become a much studied topic and many aspects are in constant debate both in industry and academia. • Discussing counterparty credit risk in detail, including the many risk mitigants, and how this leads to the different xVA terms • Explains why banks have undertaken a dramatic reappraisal of the assumptions they make when pricing, valuing and managing derivatives • Covers what the industry generally means by xVA and how it is used by banks, financial institutions and end-users of derivatives • Explains all of the underlying regulatory capital (e.g. SA-CCR, SA-CVA) and liquidity requirements (NSFR and LCR) and their impact on xVA • Underscores why banks have realised the significant impact that funding costs, collateral effects and capital charges have on valuation • Explains how the evolution of accounting standards to cover CVA, DVA, FVA and potentially other valuation adjustments • Explains all of the valuation adjustments – CVA, DVA, FVA, ColVA, MVA and KVA – in detail and how they fit together • Covers quantification of xVA terms by discussing modelling and implementation aspects. Taking into account the nature of the underlying market dynamics and new regulatory environment, this book brings readers up to speed on the latest developments on the topic.

Counterparty exposure in theory can be almost completely
Section: Credit Risk Measurement and Management Reference: Jon Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital, 3rd initial margin, minimum transfer amount and rounding, haircuts, credit quality, and As a result of the ratings changes, the credit spread for HIP has increased 
XVA metrics for CCP optimization in: Statistics & Risk
C. Albanese and S. Crépey, Capital valuation adjustment and funding valuation J. Gregory, The xVA Challenge: Counterparty Credit Risk, Funding, Collateral and A. Khwaja, CCP initial margin models—A comparison, preprint (2016), algos for optimising MVA, Risk Magazine (2017); preprint version available at 
The xVA Challenge: Counterparty Credit Risk, Funding
The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin. (13) He is a senior advisor for Solum Financial Derivatives Advisory and is a faculty member for the certificate of With this new edition, Jon Gregory explains the latest changes in market practice, along with critical expert commentary."
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The Xva Challenge Counterparty Risk, Funding, Collateral, Capital
Please note that this second edition of counterparty credit risk and The xva challenge: counterparty risk, collateral, funding and capital in hessen. To mitigate counterparty risk, the variation margins, x, need to be computed for the counterparty credit risk, collateral, funding, capital and initial margin.
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Counterparty credit risk and related aspects such as funding, collateral, and The xVA Challenge: Counterparty Credit Risk, Funding, Collateral, and Capital 71 6.2.3 Threshold 73 6.2.4 Initial margin 74 6.2.5 Minimum transfer amount and 
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JON GREGORY is an independent expert specialising in counterparty risk and The Xva Challenge - Counterparty Credit Risk, Funding, Collateral, and Capital 3 The new title 'xVA' of the third edition reflects the increased complexity 71 6.2.3 Threshold 73 6.2.4 Initial margin 74 6.2.5 Minimum transfer amount and 
The xVA Challenge: Counterparty Risk, Funding, Collateral
A thoroughly updated and expanded edition of the xVA challenge The period since the The xVA Challenge: Counterparty Risk, Funding, Collateral, Capital and Initial Margin, 4th Edition ISBN: 978-1-119-50900-4 April 2020 704 Pages 

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